As king, Henri Christophe wanted to build a palace comparative in class and style to major palaces found in Europe and consequently built his royal residence called Sans Souci palace where he was living with Queen Marie-Louise and their two daughters.

The Sans-Souci Palace or Palais du Roi Henri Christophe as it is called in French, is located in the town of Milot, on the Nord Department. Construction of the Sans Souci palace started in 1810 and was completed in 1813.

It is not certain how the design of the palace came to be. Some historians suggested that Henri Christophe took part of his inspiration for Sans Souci Palace from the prestigious Sanssouci of Prussian emperor Frederick the Great's palace in Potsdam. The palace was recognized by to be equivalent of the Palace of Versailles in France.

The Sans Souci Palace never completed due to an early illness from Henri Christophe. Ill and infirm at age fifty-three, King Henry shot himself with a silver bullet inside of the palace.

A severe earthquake in 1842 destroyed part of the palace.

UNESCO designated Sans Souci Palace and the Citadelle Laferriere, World Heritage Sites in 1982.